Ah yes, this is a wonderful message, similar to when Steam sits for hours updating itself. Some things to try:

As Samjus notes, make sure Steam has access through your firewall. Add an exception for Steam or try disabling it (make sure it doesn't turn on the Windows firewall when disabled). You might also need to check your router to ensure it's not blocking the needed ports.

Exit the client, then navigate to Steam's folder (probably C:\Program Files\Steam on Windows) and delete the ClientRegistry.blob file, then try again.

Give up and try again later; sometimes this happens when Valve is having server issues.